Ruin probabilities under general investments and heavy-tailed claims (Q483712): Difference between revisions

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+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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+F10
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+G48
@@ Property / Mathematics Subject Classification ID: 60G48 / rank @@
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@@ Property / Mathematics Subject Classification ID: 60G70 / rank @@
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@@ Property / Mathematics Subject Classification ID: 60H20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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@@ Property / zbMATH DE Number @@
+6381316
@@ Property / zbMATH DE Number: 6381316 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+ruin probabilities
@@ Property / zbMATH Keywords: ruin probabilities / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+heavy tails
@@ Property / zbMATH Keywords: heavy tails / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+large deviations
@@ Property / zbMATH Keywords: large deviations / rank @@
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@@ Property / OpenAlex ID: W2118567744 / rank @@
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@@ Property / arXiv ID: 0809.4372 / rank @@
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@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
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+In the insurance business risky investments are dangerous
+Normal rank
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+Ruin probabilities in the presence of regularly varying tails and optimal investment.
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities and optimal investment
+Normal rank
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+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
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+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Power tailed ruin probabilities in the presence of risky investments.
+Normal rank
@@ Property / cites work @@
+The cumulant process and Esscher's change of measure
+Normal rank
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+Integrated insurance risk models with exponential Lévy investment
+Normal rank
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+Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
+Normal rank
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+On the ruin probabilities in a general economic environment
+Normal rank
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+Ruin models with investment income
@@ Property / cites work: Ruin models with investment income / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probabilities of small noise jump‐diffusions with heavy tails
+Normal rank
@@ Property / cites work @@
+Ruin probability in the presence of risky investments
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimal investment and subexponential claims
@@ Property / cites work: On optimal investment and subexponential claims / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:483712